In its quarterly report, the BIS revealed that total notional turnover recorded by international derivatives exchanges fell to $542 trillion in the three months to September 2008 from $600 trillion over the previous quarter. Derivatives referencing short-term interest rates were responsible for the bulk of the decline, dropping to $407 trillion from $473 trillion.

In contrast, turnover in equity derivatives climbed to $76 trillion in the third quarter from $67 trillion in the three months to June 2008, and turnover in derivatives on foreign exchange rates increased to $7.9 trillion from $7.5 trillion. Despite a drop of 15 million from the second quarter, the number of contracts on derivatives referencing commodities maintained a year-on-year growth of 37%, with 410 million contracts traded in the third quarter. The notional outstanding for commodity derivatives was not available.

In the over-the-counter markets, notional amounts of derivatives outstanding continued to increase over the first half of 2008. The notional value of all OTC contracts stood at $863 trillion at the end of June, an increase of 21% from six months earlier - as already recorded by the BIS last month.

The lowest level of net issuance since 2005 was recorded in the international debt securities market over the third quarter as borrowing plummeted. Net issuance of bonds and notes dropped to $247 billion, down substantially from second quarter figures of $1,086 billion.

Money market borrowing also stagnated, with net issuance falling into negative territory over the third quarter. The largest contraction was experienced by US borrowers, who saw net issuance plunge to $46 billion from $308 billion in the second quarter.

This white paper looks at the Basel Committee's BCBS239 principles, also known as PERDARR (Principles for Effective Risk Data Aggregation and Risk Reporting), which comes into force from 1 January 2016.